1. The provisions for the calculation of the capital requirement for interest rate risk are set out in Articles 165 to 167 of the Delegated Regulation. According to them the capital requirement for the risk of an increase/decrease in the term structure of interest rates for a given currency shall be equal to the loss in the basic own funds that would result from an instantaneous increase/decrease in basic risk-free interest rates for that currency at different maturities.

There is no reference in the Delegated Acts to a convexity factor for interest rate risk. Article 103 DA sets out the possibility for captive insurance or reinsurance undertakings to calculate the capital requirement for interest rate risk with durations as input provided the relevant conditions are met.
2.  For the sake of brevity it is assumed in the following that the equities in question are type 1 equities.

The capital requirements for type 1 equities is equal to the loss in basic own funds resulting from an instantaneous decrease in the value of type 1 equities of a certain magnitude ("equity shock"). The treatment of the derivative has to ensure that the calculated figure corresponds to this value. The legal framework does not provide the mentioned formula.    

Where an equity derivative meets the requirements set out in Articles 208 to 215 DA, the change in the value of the derivative in accordance with Article 75 Solvency II resulting from the equity shock can be taken into account in the determination of the capital requirement for type 1 equities.

The equity derivative has to be included in the calculation of the capital requirement for counterparty default risk.